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Principal Components as a Measure of Systemic Risk · Study

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PreprintPrincipal Components as a Measure of Systemic Risk

Mark P. Kritzman2012

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Preprintgreen2012

Principal Components as a Measure of Systemic Risk

Mark P. Kritzman · Yuanzhen Li · Sébastien Page · Roberto Rigobon B C

127 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Complex Systems and Time Series Analysis

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2002International Asset Allocation With Regime Shifts 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 1996Modeling the conditional distribution of interest rates as a regime-switching process 1999No Contagion, Only Interdependence: Measuring Stock Market Co-movements 2006Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation 2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors 2001Systemic Risk: A Survey

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2018Measuring the propagation of financial distress with Granger-causality tail risk networks 2012What is the Systemic Risk Exposure of Financial Institutions?2019Monitoring indirect contagion 2015Structure and dynamics of stock market in times of crisis 2013Fire-sale Spillovers and Systemic Risk 2015Extracting, Linking and Integrating Data from Public Sources: A Financial Case Study

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Details

Year2012

Typepreprint

Published2012-01-04

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations127

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1633027

openalex_workW2147337930

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